I don't think a shop like that exists. Most likely the closest you'll find is if some video store has a copy or two in their collection but I wouldn't hold your breath. Just recently I went into Melbourne Sports Books (Flinders Street) and they had a small tennis section but its a place to buy not borrow.
I'd suggest you log onto **** and check there. Someone is always selling dvd's or tapes of past matches. Even the ones from overseas aren't that expensive.

Sorry, just realised that I assumed you meant Melbourne, Australia when, as this is an American board, you could have meant Melbourne, Florida. If its the latter then disregard what I wrote LOL.